Category: Momentum (Page 1 of 7)
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
We apply momentum, value, and carry signals to the domestic fixed income universe and offer a method of applying these signals in long-only portfolios.
In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.
Straddles and Trend Following
By Nathan Faber
On May 11, 2020